Summit Systems has announced the availability of a new service which, according to the firm, allows easy modelling and precision pricing of customized and sophisticated exotic instruments. Summit’s Multi Underlying Structured Trade (MUST) enables users to create new trade types whose underlyings span multiple asset classes. Trade characteristics can include any number of customized trade legs with embedded payoff formulas, plus user-defined variables that encompass trade input options and intermediary payoff variables to model path dependency, or output variables. MUST employs a dedicated Brace-Gatarek-Musiela (BGM) pricing model, but users may add their own proprietary model if so desired. In the past, introducing a new trade type involved a significant amount of programming using a vendor’s API toolkits to define the new instrument, implement a trade-specific pricing model, and link the new instrument to other trade maintenance processes. MUST aims to cut the time delay between trade design and active trading by eliminating the need for programming.
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